Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0240
Annualized Std Dev 0.2506
Annualized Sharpe (Rf=0%) 0.0959

Row

Daily Return Statistics

Close
Observations 5555.0000
NAs 1.0000
Minimum -0.1302
Quartile 1 -0.0072
Median 0.0006
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0079
Maximum 0.1437
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0158
Skewness -0.3020
Kurtosis 6.7849

Downside Risk

Close
Semi Deviation 0.0115
Gain Deviation 0.0108
Loss Deviation 0.0122
Downside Deviation (MAR=210%) 0.0161
Downside Deviation (Rf=0%) 0.0114
Downside Deviation (0%) 0.0114
Maximum Drawdown 0.6815
Historical VaR (95%) -0.0244
Historical ES (95%) -0.0383
Modified VaR (95%) -0.0249
Modified ES (95%) -0.0453
From Trough To Depth Length To Trough Recovery
2007-10-15 2009-03-09 2018-01-16 -0.6815 2582 352 2230
1999-01-07 2003-03-12 2007-03-20 -0.6418 2028 1025 1003
2020-02-13 2020-03-18 2020-07-20 -0.3529 109 24 85
2018-01-29 2018-12-24 2020-01-02 -0.2553 486 229 257
2007-07-20 2007-08-16 2007-10-01 -0.1323 51 20 31

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.5 -3.7 -0.5 0.7 -0.3 -0.3 1.3 1.3 -0.5 -2.9 -0.3 0.7 -4.9
2000 1.7 1.6 0.3 1.4 -1 1.3 -1.3 1.6 0.3 -1.4 2 -1.4 5
2001 1.2 -0.7 0.7 1.6 -0.5 0.8 0.7 -3.5 -2.8 1.5 0.5 1 0.3
2002 0.7 1 2.9 -0.7 0.9 0 -3.7 0.1 2.9 0.8 -1.3 1.1 4.7
2003 0.1 2.7 3.5 -0.4 1 0.1 -0.4 0.3 3.1 1.2 1 -0.2 12.5
2004 0.7 0.9 1.6 1.3 -0.7 -0.5 -1.3 0.8 1.7 -0.7 1.5 -0.5 4.9
2005 1.4 -0.2 -1.4 1 0.8 -0.3 1.2 0.7 0.1 1.1 1.7 -0.6 5.4
2006 0.7 0.7 -0.7 -0.9 0.4 2.3 -0.8 0.5 -0.2 -0.6 -0.5 0.2 1
2007 0.9 -1.7 0.2 0.1 -0.3 0.2 0.7 1.4 1.6 -1.7 0.3 -1 0.5
2008 1.6 -2.6 2.5 1.1 1.2 -0.7 -1 -0.9 0.2 2.1 -8.4 -0.1 -5.4
2009 -1 0.2 2.2 1.2 1.8 1.8 2.4 -2.8 -2.9 -3.6 3 -1.1 0.8
2010 2.3 1.5 2.7 -1.1 -1.2 2.2 -0.3 3.7 0.8 -0.4 3.9 1.3 16.4
2011 2.7 -0.8 0.7 1.4 -2.3 1.3 -1.2 -1.7 -4 -4.6 -1.7 0.2 -9.8
2012 2.3 1.1 0.8 0.3 -2.7 5.3 -0.1 1.4 0.8 1.3 0.1 1.8 13
2013 1.7 -0.6 -0.8 -0.6 -2.1 1 1.3 -1.1 1.1 -0.6 0.1 0.5 -0.1
2014 -1.7 0.4 0.8 0.1 0.2 0.5 -0.4 0 -1.2 1.3 0.1 -0.4 -0.4
2015 -1.3 -0.1 0.6 1 -0.7 1.1 0.6 -2.6 -0.6 -0.2 0.2 -1.7 -3.6
2016 0.1 3.5 -0.4 -0.4 0.5 -0.2 -0.9 0.7 1.7 -0.5 -1 0.5 3.7
2017 0.1 1.3 0.1 0.6 0.8 0.4 0.3 0.1 1 -0.1 -0.5 0 4.2
2018 0.4 -1 0.6 -0.5 1 1 -0.2 -0.9 0.2 2.8 -0.3 0.7 3.7
2019 0.4 0.5 1.3 -0.7 -0.9 0.8 -0.1 0.7 -0.7 1.1 -0.3 0.4 2.4
2020 -1.9 -0.8 -4.3 -2.3 1.2 0.8 -1.6 0.9 1.7 -1.1 2.7 -1 -5.9
2021 2.2 1.9 0.9 NA NA NA NA NA NA NA NA NA 5.1

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart